Check if the Teredo tunneling adapter exists and working in device manager. To do that:

From the View menu choose Show hidden devices.

If the device manager’s screen doesn’t show any errors (and is without an exclamation mark) next to MS Teredo Tunneling Adapter (like the screen below), then your problem is solved and the Teredo tunneling should work without problems.

If you face a screen with a yellow exclamation mark next to Microsoft Teredo Tunneling adapter (or the Teredo Tunneling Pseudo Interface) like the screen(s) below continue to Step 2.